703 Lecture 12 - estimator or the exact RLS estimator. BM...

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Res Ec 703: Econometrics Order of Topics And Readings For Lecture 12, October 19, 2010 Source Pages Topic Material Not Covered Last Class BM Unnumbered Review of formulas for OLS and GLS estimators (Handwritten) Apply this to the model at bottom of BM p.70 and top of BM p.71. BM 70 Converting an exact restriction to a stochastic restriction BM 71 . Form used to estimate a model with a stochastic restriction. . Form used to compare this new estimator with either the OLS
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Unformatted text preview: estimator or the exact RLS estimator. BM 72 Example: Implementing a stochastic restriction; addressing the expected value and variance of the restrictions error BM 73-74 GLS and stochastic restrictions: . Exact form of omega-hat for estimation by GLS. . Note how we get elements on the main diagonal of omega-hat . Note the dimension of the main diagonal. New Material: I probably will not get to any. So, I will not list anything....
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